This is short for volume weighted average price. It is, as the name suggests, the average price weighted by volume.

For example if four securities have prices of £1, £2, £3 and £4 the average is £2.50 ((£1+£2+£3+£4)/4). However if there are 500 of the first three securities and 2000 of the fourth, the VWAP is £3.14 (500+1,000+1,500+8,000)/3,500).

READ MORE